Computer implemented object-oriented portfolio optimization system, method and user interface

Abstract

A computer-implemented optimization system including a data feed, a processor and a memory encoding computer program code which is executed by the processor to provide a user interface for receiving user inputs defining and / or managing objects, wherein each object comprises one or more constituents having a link to the data feed from which data on the constituent can be accessed, each object further defining one or more rules and one or more attributes associated with the object. The computer program code is further configured to optimize each object according to a schedule associated with the object including, for each iteration of optimization, to obtain data via the data feed corresponding to the constituents and determine optimal weights for allocations to the object in dependence on the obtained data and rules and attributes of the object and cause storage of the object and weights in the data repository.

Description

FIELD OF THE INVENTION[0001]The present invention relates to a computer-implemented, object-oriented, portfolio optimisation system, method and user interface that are particularly applicable to the creation and optimisation of systematic, rule-based financial portfolios and products such as exchange traded funds.BACKGROUND TO THE INVENTION[0002]Systematic investment strategies are generally complex in nature and often aren't transparent or flexible. A managed fund, for example, may provide details as to the types of assets in which it invests, details of its general investment strategy and past performance. However, the assets it invests into and how it actually operates is typically down to actions of its fund manager.[0003]An ETF, or exchange traded fund, is one type of financial portfolio. It is a marketable security that tracks assets such as an index, a commodity, bonds, or a basket of assets like an index fund.[0004]While it is possible for individuals and institutions to man...

AI Technical Summary

Benefits of technology

The present invention provides a system, method, and user interface for creating and managing financial portfolios using an object-oriented approach. Each portfolio or component of a portfolio is created, stored, and interacted with as an instance of an object. The object-oriented representation allows for systematic optimization based on specific criteria such as historical return, volatility, drawdown, and Sharpe Ratio, among others. Users can also optimize multiple criteria simultaneously. The invention improves the way investors approach investing for the long term and systematizes the way they choose and build investment strategies. Users can easily build quantitative investing strategies and optimize them according to pre-defined criteria. The invention helps investors make better, more informed investment decisions and can be delivered at low cost to a very broad user base.

Problems solved by technology

Systematic investment strategies are generally complex in nature and often aren't transparent or flexible.

However, the assets it invests into and how it actually operates is typically down to actions of its fund manager.

While it is possible for individuals and institutions to manage their own investments at a relatively low level, the tools and systems available are often crude, unintuitive and require a significant level of knowledge and experience to achieve performance even approximating that of a poor to average managed fund.

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